The statistical analysis of short-run exchange-rate data shows that there is strong heteroskedasticity and serial dependence of volatility. In addition, the empirical distributions are leptokurtic. The model of generalized autoregressive conditional heteroskedasticity (GARCH) seems to be ideally...

In this article we examine how model selection in neural networks can be guided by statistical procedures such as hypotheses tests, information criteria and cross validation. The application of these methods in neural network models is discussed, paying attention especially to the identification...

A dynamic random effects probit model is estimated on the first six waves of the German Socio-Economic Panel to test for state dependence effects in male unemployment behaviour. Estimation of the model is based on the marginal likelihood approach. In the model an individual's unemployment...

This paper explores the potential of an approach suggested by Manski of obtaining nonparametric bounds for treatment effects in evaluation studies without knowledge of the participation process. The practical concern is the effects of continuous vocational training in East Germany. The empirical...

In dieser Untersuchung wird gezeigt, wie neuere ökonometrische Verfahren zur Modellierung und Prognose von Volatilitäten auf Aktienmärkten eingesetzt werden können. Hierzu werden verschiedene Varianten aus der Klasse der ARCH Modelle und das Markov-Mischungsmodell herangezogen. Die...

Various empirical studies have shown that the time-varying volatility of asset returns can be described by GARCH (generalised autoregressive conditional heteroskedasticity) models. The corresponding GARCH option pricing model of Duan (1995) is capable of depicting the smile-effect which often...

Diskrete Copula Modelle bilden die Abhängigkeiten zwischen multiplen kategorialen Responses sowie die Einflüsse von Kovariablen auf die jeweiligen Responses ab. In einer Simulationsstudie soll das Verhalten von Schätzern diskreter Copula Modelle bei unterschiedlichen Strukturen der...

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...

Non-spherical errors, namely heteroscedasticity, serial correlation and cross-sectional correlation are commonly present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has been demonstrated to produce considerable efficiency gains...

Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...